A-Share Screen for Intraday Inflows, Price Range, and Volume Ratio

Summary

This note describes a Chinese stock selection rule combining daily price range, afternoon large-order net inflows, and relative trading volume. It specifies an amplitude above 1%, with volume ratio between 1.5 and 6, and treats qualifying shares as candidates. The accompanying rationale is that volume ratio can help identify active, liquid trading, while the price and flow filters seek stocks attracting demand. The article also gives formula references and an illustrative Python screening outline.

The author warns that temporary activity may reflect speculation, that liquidity can still be inadequate, and that the screen ignores company fundamentals. No performance data or backtest results are provided, so its effectiveness is unestablished. The note suggests adding valuation, financial, and technical measures, then evaluating fundamentals, technical conditions, policy context, risk controls, and capital management before acting. Its rules are presented as a candidate-generation method rather than a complete investment process.

Key ideas

• The screen requires daily amplitude above 1%.
• It selects stocks with afternoon large-order inflow and volume ratio above 1.5 but below 6.
• The volume ratio is used as a proxy for trading activity.
• Temporary speculative interest and weak fundamentals are identified as risks.
• The document provides no performance evidence for the proposed screen.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.